ABSTRACT
Portfolio optimization is the study of finding an optimal portfolio of risky assets. This chapter discusses some of the theory based on Best. Much of the theory can be formulated in terms of various types of Quadratic Programming (QP). The chapter focuses on the financial convention. It presents the relationship between expected return (μp) and variance (σp2) for efficient portfolios. This relationship is the efficient frontier. The chapter explains inefficient portfolio. It deals with a variation of the model for Portfolio. The chapter illustrates the Capital Market Line (CML). Investors move up and down the Capital Market Line according to their aversion to risk. It presents the Matlab program which constructs the data for Examples of portfolio frontier. The chapter also presents the optimal solution and related quantities obtained by Algorithm. It analyses each portfolio optimization methods with the examples.
